Derivatives - Applications and Settlement Process
This practical 2 day course gives a detailed coverage of the major types of derivatives and how they are valued and traded. Delegates will also have a chance to learn about the process of margining and central clearing of derivatives which is broadly discussed at the moment by the industry and regulatory bodies.
Main topics covered include:
By the end of the course delegates will:
The course is suitable for professionals who have some knowledge of derivatives but would benefit from a broader understanding of these instruments and how they are settled for margining purposes.
What Will You Learn
Main Topics Covered During This Training
Who Should Attend
From Banks, Fund Management, Exchanges and Clearing Houses:
Derivatives Applications and Settlement - A 2 Day Programme
- Definition and history of derivatives
- Who are the main users of derivatives and why?
- Where are derivatives traded? – OTC v exchanges
- What is the role of the clearing house?
- Why are derivatives marked to market?ÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨
- Defining a futures v a forward contractÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨key terminology ÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨contract specifications
- Basic pricing theoryÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨cost of carry relationshipÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨basis, and carry returnÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨arbitrage and futures/forward prices
- Main types of futures/forwardsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨bonds, stir, equity, commodities, currenciesÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨FRA’s and swapsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨calculating the tick value
- Basic hedge ratioÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨adjusting the hedge ratio
- Spread trading strategiesÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨intra and inter contract spreads
- How do you work out profit and loss?
- Defining an option call/putÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨obligations and rights
- terminology explained
- Types of optionsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨options on futures and the underlying productÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨OTC v exchange options, warrants and covered warrants, convertibles
- Basic option pricingÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨time value and intrinsic valueÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨overview of the Greeks
- Users and uses versus futuresÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨profit loss profiles at expiry
- Popular hedging and trading strategiesÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨portfolio protection and enhancementÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨combining positions
- Day in the life of a trade
- Operations of the CH
- Clearing and non clearing members
- Treasury operations and risk management
- Guarantees and netting
- Types of accounts
- Collateral, delivery and exercise
- Variation margin on futures
- Variation margin on options based on futures
- Equity net liquidation value
- Portfolio based systems for initial margin - SPAN
- Inter month charge, credits
- Defining a swap
- terminology explained
- Interest rate swaps, ÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨fixed v floating
- Uses and applications of swapsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨managing interest rate exposureÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨arbitrage using swaps
- How do you price a swap?ÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨creating a zero spot curveÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨using STIR futures
- Pricing an asset swapÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨relationship between repos and swaps
- Currency swaps and equity swaps uses and applications
- Credit Default Swaps and Total Return SwapsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨use of CDS in structured credit productsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨CDOs – CMO, CBO, CLO
- Recent developments in CDS market ÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨
- Who use derivatives?ÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨Corporations, funds, banks, market makers, dealers
- How are derivatives used in fund management?ÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨Asset allocation, basic portfolio protection and enhancementÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨hedge fund uses of derivatives
- Derivatives in treasury operationsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨managing interest rate and currency risk
- Using derivatives to trade spreadsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨intra and inter contract spreads
- How are derivatives used in structured products?
- Option trading strategiesÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨common spreadsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨
Paul has over 20 years experience of working and teaching in the financial and derivatives industry. Paul joined the London International Financial Futures and Options Exchange (LIFFE) in 1988, spending several years on the exchange trading floor before transferring to LIFFE’s Business Development Department.
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